Heterogeneity of beliefs and financial market equilibrium.

Summary In this thesis, we propose to test a new behavioral explanation of the risk premium puzzle. This work is based on the heterogeneous belief model of Jouini and Napp (2007) according to which investors' pessimism at the aggregate level leads to the existence of very large risk premiums. In this model, the pessimism of agents results in an underestimation of the rate of return on assets: thus, while they demand a return on risk identical to that of a standard agent, pessimistic agents overestimate the risk associated with assets and the resulting risk premium is increased. The conclusions of this model are obtained in the absence of individual pessimism among all agents, since the increase in the price of risk results from pessimism at the aggregate level, which resides in the positive correlation between optimism and risk aversion. Based on this observation, we identify the conditions under which excess returns on securities are consistent with agents' pessimism. We investigate whether the positive correlation between optimism and risk aversion is obtained in survey and laboratory experiments.